本研究利用日內高頻的交易資料，研究台灣50市價與其成分股淨值的價格發現能力，使用Hasbrouck(1995)資訊比例的模型分析兩個價格之間價格連動性、因果關係與價格發現。將投資人區分為散戶以及法人，分別探討在有放空限制與無放空限制之下對於投資人流動性的影響。放空限制事件期分別為2008年底金融海嘯期間禁止上市上櫃股票融券賣出以及除息日前停止過戶日的前七天，禁止融券放空五天。
    結果發現，金融海嘯期間放空限制成分股淨值呈現相對領先於台灣50市價，而在停止過戶日前的融券放空限制則為台灣50市價價格發現能力領先於成分股淨值。此外散戶以及法人投資人在放空限制與非放空限制兩個事件期之下，散戶的流動性有明顯的差異性，法人的流動性並無明顯差異。另外發現，價差與價格發現能力為顯著的負面影響，不論是在金融海嘯放空限制期間或是除息日前的放空限制。

This paper investigates the relationship between price discovery and liquidity on the Taiwan 50 ETF (TTT) and underlying stocks based on Hasbrouck (1995)`s information share model. The sample period extends from January 2, 2007 to December 31, 2010.This period is dividend into four sub-periods: the first two sub-periods are the short sale restrictions in 2008 financial tsunami and the non-constraint period. The others are short sale restrictions before ex-dividend date and not be constrained period.
    This paper employs the bid-ask spread as liquidity variable, the larger spread means liquidity decrease. The empirical result indicates that market value of TTT is weaker price discovery than the net asset value (NAV) of underlying stocks in short sales constraints of 2008 financial tsunami. The market value of TTT is stronger price discovery than the NAV of underlying stocks. As increase in the spread accompanies with a decrease in the information share, implying that there is a negative relationship between spread and information share. On the other hands, liquidity and information share are positive relationship. 

目 錄
第一章前言1
第一節研究背景與動機1
第二節研究目的4
第三節研究架構6
第四節研究流程7
第二章文獻回顧8
第一節ETF特色概述8
第二節ETF與共同基金及股票之比較11
第三節放空限制之研究14
第四節流動性18
第五節效率性20
第三章研究方法24
第一節研究資料與樣本篩選24
第二節資料處理28
第三節變數說明29
第四節理論驗證方法31
第五節迴歸模型設定38
第四章實證研究結果39
第一節資料敘述統計分析39
第二節雙尾平均數T檢定42
第三節價格發現之敘述統計分析45
第四節迴歸分析53
第五章結論62
參考文獻65
附 錄68

表目錄
【表2-1】ETF與傳統共同基金比較12
【表2-2】ETF與股票比較13
【表3-1】股票與指數股票型基金的歷年成交量與市值25
【表3-2】各類投資人歷年指數股票型基金成交量25
【表3-3】成交檔資料格式27
【表3-4】成交檔資料格式27
【表4-1】樣本價格敘述統計表40
【表4-2】價格交易量樣本敘述統計表40
【表4-3】台灣50交易量樣本敘述統計表41
【表4-4】金融海嘯限制下散戶與法人投資人樣本敘述統計表42
【表4-5】除息日前限制下散戶與法人投資人樣本敘述統計表44
【表4-6】全樣本與非放空限制期間修正資訊比例敘述統計表46
【表4-7】放空限制期間修正資訊比例敘述統計表47
【表4-8】全樣本與金融海嘯放空限制與非限制各變數敘述統計表49
【表4-9】除息日前禁止與非禁止放空各變數敘述統計表51
【表4-10】樣本相關係數表52
【表4-11】迴歸分析：事件期對於價格發現之影響56
【表4-12】迴歸分析：投資人流動性對於價格發現之影響58
【表4-13】迴歸分析：市場流動性對於價格發現之影響	61

圖目錄
【圖1-1】指數股票型基金歷年成交量2
【圖1-2】研究流程圖7
【圖2-1】ETF與成分股淨值折溢價關係9
【圖3-1】指數股票型基金各類投資人參與比重變化26

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